1. Report Industry Investment Rating - Unilateral: Recommended to find buying points for industrial silicon at low prices, with the expected trading range next week between 9,000 - 9,700 yuan/ton; recommended to wait and see for polysilicon, with the expected trading range next week between 48,000 - 53,000 yuan/ton [8] - Inter - delivery: Recommended to conduct inter - delivery reverse arbitrage for PS2511/PS2512 at an appropriate time [9] - Hedging: Recommended that upstream industrial silicon plants conduct selling hedging [9] 2. Core Views of the Report - The short - term supply and demand of industrial silicon have improved, and the progress of warehouse receipts should be monitored; the sentiment of polysilicon has significantly cooled down, and short - term waiting and seeing is recommended [7][8] 3. Summary According to Related Contents Price Trends This Week - Industrial silicon: The futures price center has risen, and the spot price has increased. The futures closed at 9,305 yuan/ton on Friday. The SMM reported that the price of 99 - grade silicon in Xinjiang was 8,800 yuan/ton (a week - on - week increase of 200), and that in Inner Mongolia was 9,050 yuan/ton (a week - on - week increase of 150) [2] - Polysilicon: The futures price first rose and then fell, closing at 52,700 yuan/ton on Friday. The upstream spot price remained firm without price increases, and there was a small amount of restocking from downstream [2] Supply and Demand Fundamentals Industrial Silicon - Supply side: The weekly industry inventory increased slightly. The overall weekly production decreased month - on - month. The futures warehouse receipts decreased by 0.1 million tons week - on - week, the social inventory increased by 0.4 million tons, and the factory inventory increased by 0.1 million tons [3] - Demand side: The downstream polysilicon and organic silicon sectors supported consumption. The short - term weekly production of polysilicon remained high, and there were plans for polysilicon factories to resume production next month. The organic silicon weekly production decreased slightly, and there was an expectation of self - disciplined production cuts in the future. The demand from the aluminum alloy sector was for essential orders, and the export market remained stable [4] Polysilicon - Supply side: The short - term weekly production remained high. The estimated production in September was about 127,000 tons. Some factories planned to resume production in October, and the factory inventory decreased [4] - Demand side: After the profit of silicon wafers was restored, the production increased. The short - term inventory of silicon wafers was relatively low, and the export demand for overseas batteries was good. However, the downstream had restocked for three months, and there would be no large - scale restocking in the short term [5][6] Market Charts and Data - The report presents multiple charts and data related to industrial silicon and polysilicon, including prices, inventory, production, and export and import volumes [11][13][14][23][24]

Report Overview - The report focuses on the stock index options market on September 19, 2025, indicating that the market was volatile, ETF options were approaching expiration, and the term volatility spread widened [1]. Market Data Statistics Underlying Market Statistics - The Shanghai Composite 50 Index closed at 2909.74, down 3.08, with a trading volume of 5.724 billion shares, a decrease of 1.762 billion shares. The synthetic futures for the current month and next month were 2915.73 and 2924.47 respectively, with basis points of 5.99 and 14.72 [1]. - The CSI 300 Index closed at 4501.92, up 3.81, with a trading volume of 22.504 billion shares, a decrease of 8.482 billion shares. The synthetic futures for the current month and next month were 4491.27 and 4492.47 respectively, with basis points of -10.65 and -9.45 [1]. - The CSI 1000 Index closed at 7438.19, down 38.21, with a trading volume of 29.59 billion shares, a decrease of 10.27 billion shares. The synthetic futures for the current month and next month were 7354.67 and 7298.73 respectively, with basis points of -83.52 and -139.46 [1]. - Various ETFs also showed different closing prices, trading volumes, and changes, such as the Shanghai Composite 50 ETF closing at 3.045, down 0.003, with a trading volume of 656 million shares, a decrease of 649 million shares [1]. Options Market Statistics - For the Shanghai Composite 50 Index options, the trading volume was 62,129, a decrease of 56,460, and the open interest was 55,579, a decrease of 48,318. The VL - PCR was 67.73%, and the OI - PCR was 60.10%. The maximum call and put open interests in the near - month were at strike prices of 3000 and 2850 respectively [1]. - Similar data were provided for other index options and ETF options, including the CSI 300 Index options, CSI 1000 Index options, and various ETF options [1]. Options Volatility Statistics - In the near - month, for the Shanghai Composite 50 Index options, the ATM - IV was 21.01%, a decrease of 2.19%, the same - term HV was 13.63%, a decrease of 0.07%, the Skew was 11.81%, an increase of 1.10%, and the VIX was 19.38, a decrease of 2.509 [4]. - Similar volatility data were presented for other index options and ETF options, both in the near - month and next - month [4]. Index and ETF Option Charts - The report includes various charts for different index and ETF options, such as the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart for the Shanghai Composite 50 Index options, CSI 300 Index options, CSI 1000 Index options, and multiple ETF options [8][12][15].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The volatility trends of near - and far - month options are diverging. It is advisable to consider building a protective put position for the next month when prices are low [1] 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The daily average trading volume, open interest, and turnover of various financial options are presented. For example, the total daily average trading volume of all options is 1242.50 million lots, with a total open interest of 1169.28 million lots and a total turnover of 13.2349519 billion yuan [1] 3.2 Option Volatility Statistics - The implied volatility (IV), historical volatility (HV), skew, and VIX of various options on the last trading day of the week are provided. For instance, the ATM - IV of SSE 50 Index Options is 21.01% with a - 2.19% change [3] 3.3 Option Liquidity - Multiple charts show the changes in total trading volume, open interest, turnover, trading value, and the proportion of trading volume and open interest of each option variety [4][6][10] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, there were signs of convergence last week. The current ATM - IVs of different options range from 18.21% to 46.36%. The relationship between the underlying asset and ATM - IV varies, with correlation coefficients ranging from - 44.74% to 95.63% [11][13][15] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of various options is used to reflect market bull - bear sentiment, and the PCR trends and daily环比increment percentages of different options are presented through charts [39][40] 3.6 Market Support and Resistance Levels - The key support and resistance levels of various option underlying assets are given. For example, the key support level of the SSE 50 Index is 2850, and the resistance level is 3000 [53]

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Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The terminal demand of the photovoltaic industry is expected to weaken, and the profits of the industrial chain will be redistributed. The upstream silicon material end has been continuously holding up prices, and the price increase has gradually spread to the silicon wafer and battery chip sectors. However, domestic power stations have a low acceptance of the component price increase, and the power station yield will be significantly suppressed under the "Document No. 136." Subsequently, the upstream sectors with substantial accumulated profits may gradually transfer profits to the downstream to achieve a reasonable distribution of profits among all sectors of the industrial chain and promote healthy development [4][54]. - From the perspective of polysilicon futures, there is an oversupply in the third quarter, and the oversupply amplitude will decrease in the fourth quarter. In September, although policy expectations dominated the market, it was difficult to see more unexpectedly positive stimuli in the short term. Based on the upstream and downstream production quotas, there will also be an oversupply situation in the fourth quarter. It is expected that the market will decline with the cooling of sentiment and gradually return to the fundamental narrative [5][55]. Summary by Relevant Catalogs 1. Photovoltaic Terminal Demand Data Tracking: Short - term Import Demand from the Indian Market Provides Support; Pay Attention to the Domestic Rush - to - Install Volume 1.1 China's Photovoltaic Installation Tracking: The "Rush - to - Install Tide" is Over, and the Installation Demand Enters a Vacuum Period. Pay Attention to the Year - End Rush - to - Install Volume - In July 2025, China's newly installed photovoltaic capacity was 11GW, a year - on - year decrease of 48%. From January to July, the newly installed photovoltaic capacity was 223.3GW, a year - on - year increase of 81%. In the first half of 2025, the proportion of distributed installation in the newly installed capacity increased significantly. In the second half of the year, the overall installation rhythm slowed down significantly. The distributed installation volume contracted after the pre - consumption was overdrawn, and the centralized installation also faced the same situation. The market is more concerned about the power station yield under the "Document No. 136" of each province [2][9]. - Each province has successively issued detailed rules under the guidance of "Document No. 136." The mechanism electricity price of incremental projects will be lower than the coal - fired benchmark price. Since most of them are solicitation drafts, the specific bidding start time is not clear. After implementing the mechanism electricity price, the photovoltaic installation yield in each province will decline significantly, and it may be difficult to meet the internal investment decision - making requirements of power stations [10][12]. - In the second half of the year, centralized power stations will become the main support for domestic installation. There will still be a rush - to - install at the end of the year, but considering the return situation, it is expected that the overall rush - to - install volume will be less than in previous years. The annual newly installed photovoltaic capacity in China is about 298GW, with a year - on - year growth rate of about 7%, including about 174GW of centralized installation and about 124GW of distributed installation [15]. 1.2 European Photovoltaic Installation Tracking: Economic Weakness, Subsidy Decline, etc. Restrict Local Photovoltaic Installation - In July 2025, China exported about 7.5GW of components to Europe, a month - on - month decrease of 4% and a year - on - year decrease of 20%. From January to July, the cumulative export volume was 50.4GW, a year - on - year decrease of 19%. After the increase in the second quarter, the overall component import volume has shrunk since the third quarter. The cancellation of component export tax rebates has led to a "rush - to - export" volume, which has advanced subsequent exports. The cancellation time may be postponed to the end of the year [19]. - The overall European economy is weak, government subsidies for photovoltaic installations are declining, traditional energy prices are falling, and some countries face the problem of low electricity consumption growth that cannot match power generation growth. These factors have led to a slowdown in installation growth. It is expected that the newly installed capacity in Europe in 2025 will be about 71GW, with a year - on - year growth rate of - 5% [20]. 1.3 US Photovoltaic Installation Tracking: Trade Barriers, Counter - Tariffs, etc. Apply Negative Pressure, and Local Photovoltaic Development is also Restricted - In June 2025, the monthly newly installed photovoltaic capacity in the US was 2.5GW, a month - on - month increase of 46% and a year - on - year decrease of 13%. From January to June, the cumulative installed capacity was 16.1GW, a year - on - year increase of 4%, and the year - on - year cumulative growth rate continued to decline. Due to the rush - to - install in October - November 2024, the installation rhythm in 2025 has slowed down [24]. - In August 2025, the US launched anti - dumping and counter - subsidy investigations against India, Indonesia, and Laos. In September, the USITC ruled that their imports caused substantial damage to the US. It is expected that counter - subsidy preliminary rulings will be announced before October 10, and anti - dumping preliminary rulings will be announced before December 24. There is a significant rush - to - import situation in components and battery chips from these three regions in the short term [24]. - In July 2025, the US government passed the "Big and Beautiful Act," which includes the early cancellation of the investment tax credit policy and the adjustment of the production tax credit policy. It also raises the threshold for local products. Policy negatives such as trade barriers and counter - tariffs have hindered the development of the US photovoltaic market. It is expected that the newly installed photovoltaic capacity in the US in 2025 will further decline to about 32GW, with a year - on - year growth rate of - 13.5% [25][27]. 1.4 Indian Photovoltaic Installation Tracking: Policy Subsidies Boost Local Installation Demand and Drive China's Battery Chip Exports in the Short Term - In August 2025, India's newly installed photovoltaic capacity was 4.1GW, a year - on - year increase of 85%. From January to August, the cumulative newly installed capacity reached 25.3GW, a year - on - year increase of 57%. India plans to invest $386 billion in renewable energy and aims to install 500GW of renewable energy facilities by 2030, including 280GW of photovoltaic. Multiple subsidy policies end in the 2026 fiscal year, which has driven the newly installed photovoltaic capacity in 2025. It is expected that the local newly installed photovoltaic capacity in 2025 will be around 35GW and maintain a high growth rate [30]. - India has policies to promote local industries. Although the local component and battery chip production capacity is increasing, the battery chip production capacity still cannot meet the demand, so it still needs to import battery chips [31]. 1.5 Other Market Photovoltaic Installation Tracking: Photovoltaic Installations in Various Countries are Affected by Policy and Subsidy Changes No specific quantitative or qualitative summary content provided in the text, only some data charts are mentioned. 2. Dynamic Tracking of Each Link in the Photovoltaic Industrial Chain: The Terminal Price Increase Transmission is Blocked; Pay Attention to the Upstream Price - Holding Strength 2.1 Silicon Material Link: Policy Expectations are Marginally Cooling; Pay Attention to the Actual Supply - and - Demand Situation in the Fourth Quarter - On the supply side of polysilicon, although some silicon material factories reduced production in September, some second - and third - tier factories resumed production, so the overall monthly production reduction was not large, with the production in September about 12.7 tons. In October, with the expansion of the production reduction scale of leading enterprises, the monthly production is expected to further decline to 12 tons. The market is more concerned about the establishment rhythm of the platform company and the implementation of the polysilicon production/sales quota system [34]. - The platform company plans to be established by leading polysilicon producers to acquire excess production capacity, but there are different views on the establishment time. The production quota for September - December is still under negotiation. Considering the demand of 40 - 45 tons from September to December, the production quota is crucial. The monthly sales quota is about 10 tons, and enterprises may have a production - reduction drive if the inventory pressure increases [34][35]. - On the demand side, the silicon wafer link is increasing production due to low inventory, and the monthly demand is increasing. After the silicon wafer link reduced production and cleared inventory, the fundamentals improved. The strong demand from the Indian market for battery chips also supports the silicon wafer price. However, after the silicon material enterprises significantly increased the quotation at the end of August, the silicon wafer link has replenished 2 - 3 months of raw material inventory, and the short - term procurement volume is light. The next procurement node is expected to be in mid - October [35]. - In terms of supply and demand, there is an oversupply in the third quarter, and the oversupply amplitude will decrease in the fourth quarter. In September, although policy expectations dominated the market, it was difficult to see more unexpectedly positive stimuli in the short term. Based on the upstream and downstream production quotas, there will also be an oversupply situation in the fourth quarter. It is expected that the market will decline with the cooling of sentiment and gradually return to the fundamental narrative. In the short term, considering the impact of the centralized cancellation of warehouse receipts at the end of November, the operating range of the polysilicon futures PS2511 contract is expected to be between 48,000 - 55,000 yuan/ton [5][36]. 2.2 Silicon Wafer Link: The Silicon Wafer Price is Passively Increased, and the Profit Repair Boosts the Production Arrangement Expectation - On the supply side, since July, the silicon wafer link has experienced a process of "cost increase - passive production reduction - silicon wafer inventory clearance - silicon wafer price increase." The silicon wafer price has been passively increased, and the profit has been continuously repaired, driving the continuous increase in the weekly production arrangement. In September, the production is expected to increase month - on - month to about 58GW, corresponding to a polysilicon consumption of 11.6 tons. The total production quota for the fourth quarter is expected to be 155GW. In October, the production arrangement will still be supported by the raw material procurement for the year - end photovoltaic rush - to - install in China, with the production estimated to be around 59 - 60GW. The production arrangement will shrink from November to December due to demand decline and production quota constraints [39]. - On the demand side, the export demand is a short - term concern. The demand from the Indian market has increased significantly in the short term, mainly for 183mm silicon wafers. The inventory of this type of silicon wafer has been cleared, which supports the price. The demand for 210R silicon wafers is relatively weak, and the inventory is expected to increase. In September, the battery chip production arrangement is expected to be about 60GW, an increase from August [40]. - In terms of the supply - and - demand pattern, the silicon wafer link is still in a state of inventory clearance in September, which strongly supports the silicon wafer price. Pay attention to the downstream acceptance ability in the future [40]. 2.3 Battery Chip Link: The Strong Demand for Battery Chips from the Indian Market Supports the Short - Term Production Arrangement - On the supply side, boosted by the demand from the Indian market, the production arrangement in September is expected to increase month - on - month to about 60GW. The total production quota for the fourth quarter is expected to be about 160GW [43]. - On the demand side, the production arrangement of the domestic component link may decrease due to factors such as production reduction by some leading enterprises. However, overall, although the domestic component factories have a production - reduction expectation, the export demand to India can support the battery chip price [43]. 2.4 Component Link: There is Short - Term Demand Support, but be Alert to the Demand Weakness after the Rush - to - Install Ends - In terms of supply and demand, it is expected that the component production arrangement will remain relatively stable from September to October. The component production arrangement largely depends on terminal demand and exports. Domestic power stations have difficulty accepting the component price increase, and they are mainly fulfilling previous low - price orders. Under "Document No. 136," the power station on - grid electricity price is expected to decline significantly, and power stations are concerned about high - priced components. Some leading enterprises reduced production during the National Day holiday. In October, the seasonal demand for the year - end photovoltaic rush - to - install will increase, which will support the component production arrangement. It is expected that there will be a small amount of rush - to - export of components at the end of October, and the terminal demand will weaken from November to December, leading to a decline in component production [47]. - Overall, although there is short - term demand support for components, the price increase is difficult to be accepted by the terminal, the prices of some component specifications have declined, and the cost - increase pressure is becoming more prominent. After the rigid procurement due to the year - end rush - to - install ends, both the domestic and export markets are expected to weaken [47]. 3. Profit Flow in the Photovoltaic Industrial Chain: The Upstream has High Profits, but the Downstream Profits are Under Pressure The upstream silicon material link has continuously held up prices, and the price increase has spread to the silicon wafer and battery chip links. Although the short - term export demand from the Indian market can absorb this price increase, domestic power stations have a low acceptance of the component price increase, and the power station yield will be significantly suppressed under "Document No. 136." Subsequently, the upstream sectors with substantial accumulated profits may gradually transfer profits to the downstream to achieve a reasonable distribution of profits among all sectors of the industrial chain and promote healthy development [4][54]. 4. Summary: There is an Expectation of Terminal Weakening, and the Profits of the Industrial Chain will be Redistributed - China: The newly installed photovoltaic capacity in July 2025 was 11GW, a year - on - year decrease of 48%. From January to July, it was 223.3GW, a year - on - year increase of 81%. In the second half of the year, the centralized installation is affected by policies, and the power station yield decreases. There will be a rush - to - install at the end of the year, but the volume is expected to be less than in previous years. The annual newly installed capacity is about 298GW, with a year - on - year growth rate of about 7%, including about 174GW of centralized installation and about 124GW of distributed installation [2][52]. - Europe: In July 2025, China exported about 7.5GW of components to Europe, a year - on - year decrease of 20%. From January to July, the cumulative export volume was 50.4GW, a year - on - year decrease of 19%. Due to economic weakness and subsidy decline, the demand is slowing down. It is expected that the newly installed capacity in 2025 will be about 71GW, with a year - on - year growth rate of - 5% [19][53]. - US: In June 2025, the monthly newly installed photovoltaic capacity was 2.5GW, a year - on - year decrease of 13%. From January to June, the cumulative installed capacity was 16.1GW, a year - on - year increase of 4%, and the cumulative growth rate continued to decline. Due to policy negatives such as trade barriers, the newly installed capacity in 2025 is expected to further decline to about 32GW, with a year - on - year growth rate of - 13.5% [24][54]. - From the industrial chain perspective, the upstream silicon material link holds up prices, and the price increase spreads downstream. However, domestic power stations have a low acceptance of the component price increase. The upstream may transfer profits to the downstream to achieve reasonable profit distribution. In terms of polysilicon futures, there is an oversupply in the third quarter, and the oversupply amplitude will decrease in the fourth quarter. The market is expected to decline with the cooling of sentiment and return to the fundamental narrative. In the short term, the operating range of the PS2511 contract is expected to be between 48,000 - 55,000 yuan/ton [54][55].

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core View The continuous decline in the national carbon market price is due to the increase in actual circulating quotas, which has changed the trading mentality of both buyers and sellers. Whether the market can rebound in the fourth quarter depends on whether the net selling ratio of surplus enterprises' own allowances remains around 40% or significantly exceeds this level. After analyzing the operating conditions and carbon trading conditions of 31 listed companies in the A-share thermal power sector, the report moderately raises the expected selling ratio of surplus enterprises' own allowances. Although the procurement demand to be met by the voluntary selling of allowances by surplus enterprises decreases, there is still a possibility of a rebound in the fourth quarter [1][2]. 3. Summary by Section 3.1 Carbon Price Decline Caused by Increased Circulating Quotas According to the quota transfer rules, if all surplus enterprises implement the "maximum transfer" strategy, more than 200 million tons of mandatory circulating quotas will be added to the market from 2024 to 2025. The increase in actual circulating quotas has reversed the trading mentality of both buyers and sellers, leading to a continuous decline in carbon prices. As of September 18, 2025, the closing price of the national carbon market composite price was 60.33 yuan/ton, a year-on-year decrease of 34%, hitting a new low in nearly 26 months [4]. 3.2 Fourth - Quarter Market Trend Depends on Selling Ratio of Surplus Enterprises - **"Maximum Transfer" Scenario**: If all surplus enterprises implement the "maximum transfer" strategy, after subtracting mandatory circulating quotas, the procurement demand (including compliance settlement and basic transfer) to be met by the voluntary selling of allowances by surplus enterprises will be about 50 - 60 million tons in 2025. At this time, the exhaustion of mandatory circulating quotas may support a carbon price reversal, and the faster the release of mandatory circulating quotas, the earlier the market may rebound [5]. - **"Excessive Selling" Scenario**: Whether surplus enterprises adopt the "excessive selling" strategy is affected by two factors: the company's operating conditions and whether decision - makers tend to sell allowances to make up for operating losses, and decision - makers' expectations of the market price trend in 2026 and beyond [5]. 3.3 Indicator Selection for Assessing Enterprises' Quota - Selling Tendency - **Measuring Operating Conditions**: The report selects the "net profit margin attributable to the parent company after excluding non - recurring gains and losses" as the core indicator to measure the operating conditions of thermal power enterprises, with a statistical period from 2021 to 2025, calculated on a year - to - date (YTD) basis [7]. - **Observing Quota Selling**: The report sorts out the carbon emission trading income and expenditure of 31 companies based on their performance reports, with the same statistical period and calculation method [8]. - **Characterizing Compliance Pressure**: The report uses the "explicit carbon cost - to - income ratio" to characterize the company's compliance pressure [9]. - **Limitations of Indicator Design**: The "carbon emission trading" mentioned in the performance reports may involve multiple markets; most companies only disclose carbon emission trading information in semi - annual and annual reports; not all companies include carbon emission trading revenues and expenditures in non - recurring gains and losses, so data comparability is limited [10]. 3.4 Indicator Comparison Results - **Quantitative Analysis of the Impact of Carbon Market Compliance on Company Operations**: More than 90% of the sample enterprises had an explicit carbon cost - to - income ratio of less than 1% in 2024, and about 40% of the sample enterprises showed a trend of increasing compliance pressure year by year [10]. - **Operating Conditions of Power Enterprises and Timing of Selling Surplus Quotas**: It is expected that 24 sample companies had overall quota surpluses in the first two compliance cycles. Among them, the trends of the "net profit margin attributable to the parent company after excluding non - recurring gains and losses" and the "net carbon yield" (in reverse order) of 15 companies were basically synchronized, indicating that these enterprises may tend to "sell allowances to make up for operating losses". In the first half of 2025, 4 of these 15 companies had a positive balance of carbon emission rights, and some companies showed signs of weakening operations, with a high probability of adopting an "excessive selling" strategy. Some companies also showed a downward trend in their operating performance in the first half of 2025. Although they did not disclose carbon emission trading revenues and expenditures, they may have quota surpluses and tend to sell more than 40% of their surplus allowances in the second half of the year. Overall, the thermal power industry has had good operating conditions this year. Only a few enterprises are likely to "excessively sell" surplus allowances due to operating losses [2][15][17].

Report Information - Report Date: September 19, 2025 [1] - Report Title: Stock Index Hedging Weekly Report [1] - Analysts: Yu Kan, Li Honglei [2] Core View - This week's market revolved around the China-US Madrid talks and the Fed's interest rate cut. After the Madrid talks, the market interpreted the outcome optimistically. The Fed's interest rate cut was in line with expectations, leading to some profit-taking. China's August financial data showed marginal improvement in corporate financing demand, weak consumer willingness, and a four-year low in the M2 - M1 gap. The market trading volume slightly decreased, and the Shanghai Composite Index faced resistance at 3900 points. Among the four broad-based indices, the small and mid-cap indices performed better [4]. Key Points by Section 1. Stock Index Futures Basis Situation - **Basis Data**: Provided the basis data of IF, IH, IC, and IM contracts for last week and this week, including basis changes and index enhancement annualized returns. The index enhancement annualized returns were calculated with a 20% futures margin rate and a 2% cash wealth management yield [2]. - **Market Analysis**: IH's premium was basically flat compared to last week. The annualized discounts of IF, IC, and IM widened, reaching around 2%, 10%, and 13% respectively, returning to the extremely low quantile range in the past three years. After the September contracts expired, the term structure of the remaining contracts had a lower near - end and lower hedging costs for far - month contracts [5]. - **Trading Volume and Open Interest**: This week, the average daily trading volume of IH increased by 18.6% week - on - week, and the open interest decreased by 4.2%. For IF, the average daily trading volume increased by 17.6% and the open interest decreased by 7.7%. For IC, the average daily trading volume increased by 12.9% and the open interest decreased by 8.0%. For IM, the average daily trading volume increased by 11.2% and the open interest decreased by 2.1% [5]. - **Basis after Considering Dividends**: Presented the basis data after considering dividends for the CSI 300, SSE 50, CSI 500, and CSI 1000 indices, including closing prices, expected total dividend points, and annualized premium/discount rates [6]. 2. Hedging Profit and Loss - **Hedging Profit and Loss Data**: Provided the hedging profit and loss data for IF, IH, IC, and IM contracts for last week and this week [13]. - **Hedging Profit and Loss Charts**: Included 60 - trading - day cumulative hedging profit and loss charts for IF, IH, IC, and IM contracts [12]

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core View of the Report - No relevant content found Group 3: Summary by Metals Gold (AU) - The closing price of SHFE gold main contract was 6.46 yuan/g on 2025/9/19, compared with 830.56 yuan/g on 2025/8/22 [1] - The closing price of COMEX gold main contract was 3678.20 dollars/ounce on 2025/9/19, 16.40 dollars lower than the previous trading day [1] - The spot price of London gold was 3658.08 dollars/ounce on 2025/9/19, 17.27 dollars lower than the previous trading day [1] Silver (AG) - The closing price of SHFE silver main contract was 9971 yuan/kg on 2025/9/19, 64 yuan lower than the previous trading day [1] - The closing price of COMEX silver main contract was 2.71 dollars/ounce on 2025/9/19, 42.10 dollars lower than the previous trading day [1] - The spot price of London silver was 0.78 dollars/ounce on 2025/9/19, 4.29 dollars higher than the previous trading day [1] Copper (CU, BC) - The closing price of SHFE copper (CU) main contract was 79910 yuan/ton on 2025/9/19, 1.150 yuan lower than the previous trading day [1] - The closing price of LME copper 3M was 9972.50 dollars/ton on 2025/9/19, 31.00 dollars higher than the previous trading day [1] - The SHFE copper warehouse receipt inventory was 31838 tons on 2025/9/19, 631 tons lower than the previous trading day [1] Aluminum and Alumina (AL, AO) - The closing price of SHFE aluminum (AL) main contract was 20795 yuan/ton on 2025/9/19, 165 yuan higher than the previous trading day [1] - The closing price of LME aluminum 3M was 106.50 dollars/ton on 2025/9/19, 2693.50 dollars higher than the previous trading day [1] - The SHFE aluminum warehouse receipt inventory was 71959 tons on 2025/9/19, 510 tons lower than the previous trading day [1] Zinc (ZN) - The closing price of SHFE zinc (ZN) main contract was 22045 yuan/ton on 2025/9/19, 10 yuan higher than the previous trading day [1] - The closing price of LME zinc 3M was 2919 dollars/ton on 2025/9/19, 6 dollars higher than the previous trading day [1] - The SHFE zinc warehouse receipt inventory was 52531 tons on 2025/9/19, 1710 tons lower than the previous trading day [1] Lead (PB) - The closing price of SHFE lead (PB) main contract was 17150 yuan/ton on 2025/9/19, 110 yuan higher than the previous trading day [1] - The closing price of LME lead 3M was 2011.00 dollars/ton on 2025/9/19, 0.00 dollars higher than the previous trading day [1] - The SHFE lead warehouse receipt inventory was -2.086 tons on 2025/9/19, 12196 tons lower than the previous trading day [1] Nickel and Stainless Steel (NI, SS) - The closing price of SHFE nickel (NI) main contract was 121500 yuan/ton on 2025/9/19, 560 yuan higher than the previous trading day [1] - The closing price of LME nickel 3M was 80 dollars/ton on 2025/9/19, -10 dollars lower than the previous trading day [1] - The SHFE nickel warehouse receipt inventory was -23 tons on 2025/9/19, 3.291 tons lower than the previous trading day [1] Tin (SN) - The closing price of SHFE tin (SN) main contract was 268770 yuan/ton on 2025/9/19, 330 yuan lower than the previous trading day [1] - The closing price of LME tin 3M was -205 dollars/ton on 2025/9/19, 33855 dollars higher than the previous trading day [1] - The SHFE tin warehouse receipt inventory was -356 tons on 2025/9/19, 768 tons lower than the previous trading day [1]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - On September 18, 2025, CBOT soybean futures closed lower due to seasonal harvest pressure, a stronger US dollar index, and a decline in soybean oil prices. The uncertainty of the US EPA's biofuel plan also limited biodiesel production. The net sales volume of US soybeans in the 2025/26 and 2026/27 seasons increased compared to the previous week, and the market is concerned about the outcome of the call between the US and Chinese presidents regarding soybean trade [2][3] Group 3: Summary by Relevant Catalogs 1. Fundamental Data of Soybean Meal/Soybean No.1 - **Futures**: DCE Soybean No.1 2511 closed at 3904 yuan/ton during the day session, down 10 yuan (-0.26%), and 3898 yuan/ton at night, up 6 yuan (+0.15%); DCE Soybean Meal 2601 closed at 2993 yuan/ton during the day session, down 26 yuan (-0.86%), and 2992 yuan/ton at night, down 9 yuan (-0.30%); CBOT Soybean 11 closed at 1038.75 cents/bushel, down 5.25 cents (-0.50%); CBOT Soybean Meal 12 closed at 285.4 dollars/short ton, down 0.1 dollars (-0.04%) [2] - **Spot**: In Shandong, the price of soybean meal (43%) was 2980 - 3000 yuan/ton, down 30 - 10 yuan compared to the previous day; in East China, the price was 2960 - 3020 yuan/ton, down 20 yuan; in South China, the price varied by supplier and delivery time [2] - **Main Industry Data**: The previous trading day's soybean meal trading volume was not available, and the volume two trading days ago was 13.60 million tons/day; the previous week's inventory was 1108500 tons, and the inventory two weeks ago was 1063900 tons [2] 2. Macro and Industry News - On September 18, 2025, CBOT soybean futures closed lower due to seasonal harvest pressure, a stronger US dollar index, and a decline in soybean oil prices. The uncertainty of the US EPA's biofuel plan also limited biodiesel production [2][3] - As of the week ending September 11, 2025, the net sales volume of US soybeans in the 2025/26 season was 923,000 tons, up from 541,100 tons the previous week; the net sales volume in the 2026/27 season was 2,300 tons, compared to no sales the previous week. Egypt, Mexico, Spain, Bangladesh, and the Netherlands were the top five export destinations [2][3] - The market is closely watching the call between US President Donald Trump and Chinese President Xi Jinping on September 19, 2025, to see if it can progress soybean trade [3] 3. Trend Intensity - The trend intensity of soybean meal was 0, and the trend intensity of soybean No.1 was 0, mainly referring to the price fluctuations of the main - contract futures during the day session on the report day [3]

Report Summary 1) Report Industry Investment Rating - Aluminum: Range-bound [1] - Alumina: Excess persists [1] - Cast aluminum alloy: Cost-supported [1] 2) Core Viewpoints - The report updates the fundamental data of aluminum, alumina, and cast aluminum alloy, including futures market prices, trading volumes, positions, spreads, and spot market prices, costs, and inventories [1]. 3) Summary by Relevant Catalogs Futures Market - **Aluminum**: The closing price of the Shanghai aluminum main contract was 20,785 yuan, down 125 yuan from the previous day; the LME aluminum 3M closing price was 2,705 US dollars, up 16 US dollars [1]. - **Alumina**: The closing price of the Shanghai alumina main contract was 2,931 yuan, down 14 yuan; the trading volume was 433,801 lots, down 15,367 lots [1]. - **Aluminum alloy**: The closing price of the aluminum alloy main contract was 20,320 yuan, down 140 yuan; the trading volume was 277 lots, down 2,006 lots [1]. Spot Market - **Aluminum**: The domestic aluminum ingot social inventory was 636,000 tons, up 7,000 tons; the LME aluminum ingot inventory was 513,900 tons, up 30,100 tons [1]. - **Alumina**: The domestic average alumina price was 3,066 yuan, down 7 yuan; the alumina price at Lianyungang's arrival port was 349 US dollars/ton, unchanged [1]. - **Aluminum alloy**: The theoretical profit of ADC12 was 0 yuan, down 141 yuan; the price of Baotai ADC12 was 20,400 yuan, down 100 yuan [1]. Other Information - Overseas investors' holdings of US Treasury bonds reached a new high in July. Japan's holdings hit a new high in over a year, China's holdings hit a new low in over sixteen years, and Canada's holdings decreased sharply by 57.1 billion US dollars [3]. - The trend strength of aluminum, alumina, and aluminum alloy is all 0, indicating a neutral outlook [3].